000			02415nab a2200373 c 4500
001			vtls000792070
003			RU-ToGU
005			20230207175208.0
007			cr |
008			210115|2020 xxu s a eng dd
024	7		_a10.1137/S0040585X97T989921 _2doi
035			_ato000792070
040			_aRU-ToGU _brus _cRU-ToGU
100	1		_aNguen, Thai Huu _9508762
245	1	0	_aApproximate hedging with constant proportional transaction costs in financial markets with jumps _cT. H. Nguyen, S. M. Pergamenshchikov
336			_aТекст
337			_aэлектронный
504			_aБиблиогр.: 38 назв.
520	3		_aWe study a problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming some mild condition on the jump size distribution we show that transaction costs can be approximately compensated by applying the Leland adjusting volatility principle and the asymptotic property of the hedging error due to discrete readjustments is characterized. In particular, the jump risk can be approximately eliminated and the results established in continuous diffusion models are recovered. The study also confirms that for the case of constant trading cost rate, the approximate results established by Kabanov and Safarian (1997) and by Pergamenschikov (2003) are still valid in jump-diffusion models with deterministic volatility using the classical Leland parameter.
653			_aстохастическая волатильность
653			_aаппроксимационное хеджирование
653			_aсуперхеджирование
653			_aквантильное хеджирование
653			_aЛеленда стратегия
653			_aоперационные издержки
653			_aмодель со скачками
655		4	_aстатьи в журналах _9745982
700	1		_aPergamenshchikov, Serguei M. _998934
773	0		_tTheory of probability and its applications _d2020 _gVol. 65, № 2. P. 224-248 _x0040-585X
852	4		_aRU-ToGU
856	4		_uhttp://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000792070
908			_aстатья
999			_c477220